Jurnal Ilmiah

RETURN SAHAM, VALUE AT RISK DAN AKTIVITAS TRADING PADA KELOMPOK HARGA TERENDAH (LOW TICK SIZE) DI BURSA EFEK INDONESIA

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No. Panggil

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Penerbit

: ., 0

Deskripsi Fisik

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Bahasa

Indonesia

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Klasifikasi

E-BOOK

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

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Subjek

Value-at-Risk, return, low tick size, asset prcin

Info Detail Spesifik

The purpose of this research is to analyze the impact of value at risk, market risk, stock price, liquidity and price-to-book value ratio to the stock return in low tick size (Rp 5 and Rp 10) at Bursa Efek Indonesia (BEI). This research focuess in (1) the relationship between return, VaR and market risk (2) the relationship between return, Size and liquidity and (3) analysis the relationship between return and PBV. We employ panel data analysis methodology which combines time series and cross section data in quarterly period in 2004-2006. We get data from active stocks of various companies of low price level in LQ-45 for period 2004-2005. The results of this research are VaR, beta, size, liquidity have positive impact significantly to the stock returns except PBV. These findings indicated that fundamental performance not relevan with trading activity at lower price. These results support the previous researches which are done by many scholars, and give opportunities to VaR build alternative models for Capital Asset Pricing Model (CAPM).

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